SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Credit Risk: Pricing, Measurement, and Management
0 references·16 citing·56 second hopsampled
Credit Risk: Pricing, Measurement, and Management (2003)Credit Risk: Pricing, Measurement, and Ma…Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads (2019)Sovereign credit risk and exc…Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security (2016)Time-consistent investment-re…NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (2016)NONPARAMETRIC ESTIMATION OF C…Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads (2013)Time-Varying Systemic Risk: E…The Credit Spread Puzzle (2012)The Credit Spread PuzzleDaily pricing of emerging market sovereign CDS before and during the global financial crisis (2012)Daily pricing of emerging mar…THE VALUE OF RISK: MEASURING THE SERVICE OUTPUT OF U.S. COMMERCIAL BANKS (2010)THE VALUE OF RISK: MEASURING …Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (2010)Stochastic control under prog…Is the diversification discount caused by the book value bias of debt? (2010)Is the diversification discou…Split bond ratings and rating migration (2008)Split bond ratings and rating…Nonparametric estimation of conditional VaR and expected shortfall (2008)Nonparametric estimation of c…The Pricing of Unexpected Credit Losses (2007)The Pricing of Unexpected Cre…Off-budget and Tax Expenditures (2006)Off-budget and Tax Expenditur…Ineffective Controls on Capital Inflows Under Sophisticated Financial Markets: Brazil in the Nineties (2006)Ineffective Controls on Capit…Rating the rating agencies: Anticipating currency crises or debt crises? (2004)Rating the rating agencies: A…On the way to recovery: A nonparametric bias free estimation of recovery rate densities (2004)On the way to recovery: A non…The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Investment Under Uncertainty. (1994)Capital account liberalization and foreign direct investment (2007)How much can governments borrow? Financialization and emerging markets government borrowing capacity (2011)Capital Controls and Spillover Effects: Evidence from Latin-American Countries (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Conditional copula simulation for systemic risk stress testing (2013)Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models (2014)New HEAVY Models for Fat-Tailed Realized Covariances and Returns (2016)Common risk factors in the returns on stocks and bonds (1993)Explaining the Rate Spread on Corporate Bonds (2001)The Determinants of Credit Spread Changes (2001)A ratings‐based approach to measuring sovereign risk (2007)The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2011)Bond Prices, Default Probabilities and Risk Premiums (2012)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)CAViaR (2004)Mean–CVaR portfolio selection: A nonparametric estimation framework (2012)Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk (2013)An Axiomatic Foundation for the Expected Shortfall (2019)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A Markov Model for the Term Structure of Credit Risk Spreads (1997)Rating Banks: Risk and Uncertainty in an Opaque Industry (2002)The Economic Function of Credit Rating Agencies - What Does the Watchlist Tell Us? (2009)Split Bond Ratings and Information Opacity Premiums (2010)The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis (2014)Determinants and Impact of Sovereign Credit Ratings (1996)The East Asian Financial Crisis: Diagnosis, Remedies, Prospects (1998)Credit Risk : Pricing, Measurement, and Management (2003)CREDIT RATING AGENCIES AND THEIR POTENTIAL IMPACT ON DEVELOPING COUNTRIES (2007)Banking and Debt Crises in Europe: The Dangerous Liaisons? (2010)Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers (2011)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Empirical Analysis of Liquidity (2014)The determinants of co-movement dynamics between sukuk and conventional bonds (2017)Quantile Connectedness: Modelling Tail Behaviour in the Topology of Financial Networks (2018)Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds (1996)Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence (2003)What Do We Know About Loss Given Default? (2004)Improvements in loss given default forecasts for bank loans (2013)Loss given default for leasing: Parametric and nonparametric estimations (2013)A Model of Balance-of-Payments Crises (1979)Modeling Term Structures of Defaultable Bonds (1999)Specification Analysis of Affine Term Structure Models (2000)A Credit-Based Theory of the Currency Risk Premium (2019)Spillover Effects from the Volkswagen Emissions Scandal: An Analysis of Stock and Corporate Bond Markets (2021)The real effects of exchange rate risk on corporate investment: International evidence (2021)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Credit Risk: Modeling, Valuation and Hedging (2004)Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk (2016)Robust non-zero-sum investment and reinsurance game with default risk (2018)Reinsurance–investment game between two mean–variance insurers under model uncertainty (2020)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

No references inside the corpus for this window.

Cited by

  • 2012Daily pricing of emerging market sovereign CDS before and during the global financial crisis165 cited
  • 2008Nonparametric estimation of conditional VaR and expected shortfall123 cited
  • 2004Rating the rating agencies: Anticipating currency crises or debt crises?120 cited
  • 2004On the way to recovery: A nonparametric bias free estimation of recovery rate densities108 cited
  • 2013Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads100 cited
  • 2012The Credit Spread Puzzle98 cited
  • 2008Split bond ratings and rating migration79 cited
  • 2006Ineffective Controls on Capital Inflows Under Sophisticated Financial Markets: Brazil in the Nineties75 cited
  • 2016Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security74 cited
  • 2019Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads71 cited
  • 2006Off-budget and Tax Expenditures69 cited
  • 2016NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY68 cited
  • 2010Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management67 cited
  • 2010Is the diversification discount caused by the book value bias of debt?

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

63 cited
  • 2010THE VALUE OF RISK: MEASURING THE SERVICE OUTPUT OF U.S. COMMERCIAL BANKS60 cited
  • 2007The Pricing of Unexpected Credit Losses57 cited